Some people have had problems with desktop icons disappearing no matter how many times they are restored.

While lurking around in the groups and harvesting whatever information I can that seems helpful I ran across a post about that very thing. Hopefully this will get your icons to stay put.
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1. Right click an empty area of your Desktop

2. Select Properties

3. Select the Appearance tab

4. Choose the Advanced button

5. In the "Item:" drop down menu, click the entry titled 'Icon'

6. Using the up or down arrows, change the number displayed Click OK

7. Using the above instructions, change the value of step #6 back to its original position.